Futures Price Valuation - Equity Derivatives Provision

Template:Eqderivanat Where you price an Index Swap or Index Basket Swap by reference to an futures contract rather than the published price of the Index itself. This requires you to designate not just the Index to which the futures contract relates (which needless to say you'd be specifying anyway), but also the delivery month of the relevant futures contract and the exchange on which the futures contract is traded.

Note that valuation keys off the Official Settlement Price published by the Exchange on the Valuation Date, so you don’t need the Valuation Time concept.

Note 6.8(d) is identical to the text of 6.7(d), except that that relates to Averaging.